Good volatility, bad volatility and option pricing / by Bruno Feunou and Cédric Okou. : FB3-5/2017-52E-PDF
“Advances in variance analysis permit the splitting of the total quadratic variation of a jump diffusion process into upside and downside components. Recent studies establish that this decomposition enhances volatility predictions, and highlight the upside/downside variance spread as a driver of the asymmetry in stock price distributions. To appraise the economic gain of this decomposition, we design a new and flexible option pricing model in which the underlying asset price exhibits distinct upside and downside semi-variance dynamics driven by their model-free proxies. The new model outperforms common benchmarks, especially the alternative that splits the quadratic variation into diffusive and jump components"--Abstract, p. ii.
Lien permanent pour cette publication :
publications.gc.ca/pub?id=9.848567&sl=1
| Ministère/Organisme | Bank of Canada. |
|---|---|
| Titre | Good volatility, bad volatility and option pricing / by Bruno Feunou and Cédric Okou. |
| Titre de la série | Bank of Canada staff working paper, 1701-9397 ; 2017-52 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Électronique |
| Document électronique | |
| Note(s) | "December 2017." Includes bibliographical references (p. 30-31). Includes abstract in French. |
| Information sur la publication | [Ottawa] : Bank of Canada, 2017. |
| Auteur / Contributeur | Feunou, Bruno. Okou, Cédric. |
| Description | iii, 43 p. : charts. |
| Numéro de catalogue |
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| Descripteurs | Stock markets Assets Prices Statistical analysis |
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